In general, various auxiliary aids and assistive devices are often needed in yoga, aerobics exercise or balance exercise to stretch exerciser's muscles. Among the auxiliary aids and assistive devices, rods and column structure are most widely used, as shown in FIGS. 9 and 10. The column structure mainly has a column body (40) and buffer foam (41) covered outer surface of the column body (40) to absorb the impact force generated by the rolling column body (40). However, conventional column structure has the following drawbacks: when the column body (40) and buffer foam (41) are conjugated together, the buffer foam (41) is glued on the column body (40) or squeezed onto the column body (40), so that there is no structure to position of the buffer foam (41) and the column body (40), which will easily cause sliding and misalignment when the column body (40) is rolling. Thus, there remains a need for a new and improved exercise column structure to overcome the problems above.